I thought the show handled the wedding night scene for Sansa rather well, actually. No more explicit and triggering than it had to be, though I suppose there's an argument for actually showing the pain on her face rather than focusing on how viewing it affected Theon / Reek.
Putting Sansa in Winterfell seems to be important for where the plot is going. I trust the show runners on that one.
Given that, Sansa had to be in an arranged marriage with a guy we know to be a brutal sadist. Even if he weren't a brutal sadist, it's still an arranged marriage in which the woman has virtually no say. So, a rape on the wedding night is basically a foregone conclusion. That's the reality in the GoT universe, and it was the reality for thousands of years in our world (still is the reality in some places). Arranged marriages very often lead to marital rape.
Would it have been better for GoT to not show it to us? Or should the show have conveniently steered Sansa away from such an eventuality, despite the fact that she is still being used as a political pawn? I mean, they could have done something to stop it, like have Theon break out of Reek-mode and kill Ramsay before he begins, or they could have had Sansa go all Buffy out of nowhere and defend herself.
They could have used any number of Deus Ex Machinas to get her out of that situation. But that would have been a much worse sin, in my opinion, than reminding the viewers once again that this is a dark, medieval world where women largely get treated, violently, as property.